| 基于Copula-VaR的金融资产组合风险测度研究 |
| |
| 引用本文： | 鲁志军,姚德权. 基于Copula-VaR的金融资产组合风险测度研究[J]. 财经理论与实践, 2012, 33(6): 48-52. DOI: 10.3969/j.issn.1003-7217.2012.06.010 |
| |
| 作者姓名： | 鲁志军 姚德权 |
| |
| 作者单位： | 1.湖南大学工商管理学院,湖南长沙,410082;2.湖南大学工商管理学院,湖南长沙,410082 |
| |
| 基金项目： | 教育部新世纪人才支持计划 |
| |
| 摘 要： | 引入Copula函数来改进传统的VaR方法,构建出Copula-VaR模型.通过蒙特卡罗模拟实证金融资产组合收益的各种VaR值,结果表明,Copula-VaR模型能够更精确地测度出金融资产组合的在险价值风险.
|
| 关 键 词： | VaR方法 Copula函数 Copula-VaR模型 |
Measurement on the Financial Assets Portfolio Risk based on the Copula-VaR Model |
| |
| LU Zhi-jun,YAO De-quan. Measurement on the Financial Assets Portfolio Risk based on the Copula-VaR Model[J]. The Theory and Practice of Finance and Economics, 2012, 33(6): 48-52. DOI: 10.3969/j.issn.1003-7217.2012.06.010 |
| |
| Authors: | LU Zhi-jun YAO De-quan |
| |
| Affiliation: | (Collego of Business Administiation,Hunan University,Changsha Hunan 410082,China) |
| |
| Abstract: | Based on Copula Function, the VaR method has been improved and the new Copula-VaR mode has been built. Through the empirical research on the financial assets portfolio, the paper gets VaR results, and the empirical results suggest that the Copula-VaR model can measure the value at risk of the financial assets portfolio more exactly. |
| |
| Keywords: | |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《财经理论与实践》浏览原始摘要信息 |
|
点击此处可从《财经理论与实践》下载全文 |
|
